bnddury

In R2017b, the specification of optional input arguments has changed. While the
previous ordered inputs syntax is still supported, it may no longer be supported in a
future release. Use the optional name-value pair inputs: Period,
Basis, EndMonthRule,
IssueDate,FirstCouponDate,
LastCouponDate,
StartDate,Face,
CompoundingFrequency, DiscountBasis, and
LastCouponInterest.

bnddury determines the Macaulay and modified duration for a
bond whether the first or last coupon periods in the coupon structure are short or
long (that is, whether the coupon structure is synchronized to maturity).
bnddury also determines the Macaulay and modified duration
for a zero coupon bond.

Settlement date for the certificate of deposit, specified as a scalar or a
NUMBONDS-by-1 or
1-by-NUMBONDS vector using serial
date numbers, date character vectors, or datetime arrays. The
Settle date must be before the
Maturity date.

Maturity date for the certificate of deposit, specified as a scalar or a
NUMBONDS-by-1 or
1-by-NUMBONDS vector using serial
date numbers, date character vectors, or datetime arrays.

Data Types: double | char | datetime

Name-Value Pair Arguments

Specify optional
comma-separated pairs of Name,Value arguments. Name is
the argument name and Value is the corresponding value.
Name must appear inside quotes. You can specify several name and value
pair arguments in any order as
Name1,Value1,...,NameN,ValueN.

End-of-month rule flag, specified as the comma-separated pair
consisting of 'EndMonthRule' and a scalar or a
NUMBONDS-by-1 or
1-by-NUMBONDS vector. This
rule applies only when Maturity is an end-of-month
date for a month having 30 or fewer days.

0 = Ignore rule, meaning that a bond
coupon payment date is always the same numerical day of the
month.

1 = Set rule on, meaning that a bond
coupon payment date is always the last actual day of the
month.

Bond Issue date, specified as the comma-separated pair consisting of
'IssueDate' and a scalar or a
NUMBONDS-by-1 or
1-by-NUMBONDS vector using
serial date numbers, date character vectors, or datetime arrays.

If you do not specify an IssueDate, the cash flow
payment dates are determined from other inputs.

Irregular or normal first coupon date, specified as the
comma-separated pair consisting of 'FirstCouponDate'
and a scalar or a NUMBONDS-by-1 or
1-by-NUMBONDS vector using
serial date numbers, date character vectors, or datetime arrays.

If you do not specify a FirstCouponDate, the cash
flow payment dates are determined from other inputs.

Irregular or normal last coupon date, specified as the comma-separated
pair consisting of 'LastCouponDate' and a scalar or a
NUMBONDS-by-1 or
1-by-NUMBONDS vector using
serial date numbers, date character vectors, or datetime arrays.

If you do not specify a LastCouponDate, the cash
flow payment dates are determined from other inputs.

Forward starting date of payments, specified as the comma-separated
pair consisting of 'StartDate' and a scalar or a
NUMBONDS-by-1 or
1-by-NUMBONDS vector using
serial date numbers, date character vectors, or datetime arrays. The
StartDate is when a bond actually starts (the
date from which a bond cash flow is considered). To make an instrument
forward-starting, specify this date as a future date.

If you do not specify a StartDate, the effective
start date is the Settle date.

Data Types: double | char | datetime

'Face' — Face value of bond100 (default) | numeric

Face value of the bond, specified as the comma-separated pair
consisting of 'Face' and a scalar or a
NUMBONDS-by-1 or
1-by-NUMBONDS vector.

Compounding frequency for yield calculation, specified as the
comma-separated pair consisting of
'CompoundingFrequency' and a scalar or a
NUMBONDS-by-1 or
1-by-NUMBONDS vector.

1 — Annual compounding

2 — Semiannual compounding

3 — Compounding three times per
year

4 — Quarterly compounding

6 — Bimonthly compounding

12 — Monthly compounding

Note

By default, SIA bases
(0-7) and
BUS/252 use a semiannual compounding
convention and ICMA bases
(8-12) use an annual
compounding convention.

Data Types: double

'DiscountBasis' — Basis used to compute the discount factors for computing the yieldSIA uses 0 (default) | integers of the set [0...13] | vector of integers of the set [0...13]

Basis used to compute the discount factors for computing the yield,
specified as the comma-separated pair consisting of
'DiscountBasis' and a scalar or a
NUMBONDS-by-1 or
1-by-NUMBONDS vector. Values
are:

Note

If a SIA day-count basis is defined in the
Basis input argument and there is no
value assigned for DiscountBasis, the default
behavior is for SIA bases to use the actual/actual day count to
compute discount factors.

If an ICMA day-count basis or BUS/252 is defined in the
Basis input argument and there is no
value assigned for DiscountBasis, the
specified bases from the Basis input argument
are used.

Data Types: double

'LastCouponInterest' — Compounding convention for computing yield of a bond in last coupon periodcompound (default) | values are simple or
compound

Compounding convention for computing the yield of a bond in the last
coupon period, specified as the comma-separated pair consisting of
'LastCouponInterest' and a scalar or a
NUMBONDS-by-1 or
1-by-NUMBONDS vector.
LastCouponInterest is based on only the last
coupon and the face value to be repaid. Acceptable values are:

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